%% Political shocks
% LS_Call and LS_Put are the Q5-Q1 call and put option returns sorted by PRisk 
Date = dates_m(2:end); % Identify a vector of time from 02/2003 tp 06/2019
NW = 4;
Factors = [mktrf_m(2:end) smb_m(2:end) hml_m(2:end) umd_m(2:end) strdl_m(2:end) dvix_m(2:end)];
Shock_dummy = (ismember(floor(Date/100), [200809, 201107, 201508, 201606, 201611, 201803]));
% The Lehman Brother bankruptcy (September 2008), the debt-ceiling dispute (July 2011), ChinaTs
% currency devaluation (August 2015), the Brexit vote (June 2016), Trump%s election (November 2016), 
% and the Trump-triggered trade war (March 2018).

% LS_Call and LS_Put are respectively time-series Q5-Q1 delta-hedged call 
% and put option returns sorted on PRisk (02/2003 - 06/2019)
stat_call = nwest(LS_Call, [ones(size(LS_Call,1),1) Shock_dummy Factors*100], NW); 
stat_put = nwest(LS_Put, [ones(size(LS_Put,1),1) Shock_dummy Factors*100], NW); 
clear Ret NW Factors x Shock_dummy Date